Freddie Mac · OTC:FMCC
Freddie Mac — Debt Investor Presentation (September 2025)
53 slides from Freddie Mac's debt investor presentation, September 2025
Slide 1: Seasoned Credit Risk Transfer Trust, Series 2025-2 Investor Presentation
Seasoned Credit Risk Transfer Trust, Series 2025-2 Investor Presentation September 2025 Information contained in this presentation is current as of September 2025. For further information on this transaction see the SCRT 2025-2 Offering Circular on FreddieMac.com Prepared by Investments and Capital
Slide 2: Disclaimer
Disclaimer Notice to all Investors: This presentation (the “Presentation”) is not an offer to sell any Freddie Mac securities. Offers for any given security are made only through applicable offering circulars, private placement memoranda and related supplements, which incorporate Freddie Mac’s Annua
Slide 3: Disclaimer
Disclaimer Notice to all Investors: The investment described in this Presentation is a complex financial product. These Certificates are complex instruments intended for sale only to sophisticated investors who understand and assume the risks involved with the purchase thereof. The risks associated
Slide 4: Program Summary
Program Summary • The $707 mm SCRT 2025-2 securitization is our 26th SCRT securitization and is backed by seasoned, re-performing single-family mortgage loans (“RPLs”). Since 2016, we’ve issued approximately $33.2 bn of guaranteed and approximately $3.8 bn of non-guaranteed SCRT certificates • The u
Slide 5: What's New in 2025
What’s New in 2025 • Third-Party Due Diligence Changes o Compliance: ▪ Compliance testing on a statistically significant sample of the initial pool of mortgage loans originated prior to QM patch expiration ▪ Compliance and QM/Credit testing on a statistically significant sample of the initial pool o
Slide 6: Guaranteed High Coupon Certificates
Guaranteed High Coupon Certificates • High Coupon MACRs of the Class MAU, Class MBU and Class MTU Certificates receive cash flows from a) the related MAU/MBU/MTU Class, and b) a Guarantor Contribution Payment paid by Freddie Mac. The Guarantor Contribution Payment is the difference between the Inter
Slide 7: Retained Portfolio
Retained Portfolio • As of June 30, 2025, Freddie Mac’s total retained portfolio balance was $119.4 billion • A varying amount of single-family residential mortgage loans are bought out of MBS and put into the retained portfolio monthly • Freddie Mac has been actively reducing these assets via econo
Slide 8: Freddie Mac Seasoned and Legacy Loan Activity
Freddie Mac Seasoned and Legacy Loan Activity • Approximately $91 billion from 2011 through August 2025 SCRT - RPL Senior/Sub(1) MBS - Fully Guaranteed Securitizations Guaranteed Seniors / Non-guaranteed Subs Re-Performing and Modified Pools $36.9 billion settled since Q4 2016 $30.4 billion settled
Slide 9: Key Dates
Key Dates August 2025 September 2025 S M T W T F S S M T W T F S 1 2 1 2 3 4 5 6 • 8/27: Investor Tape Available 3 4 5 6 7 8 9 7 8 9 10 11 12 13 • 9/3: Begin Pre-marketing 10 11 12 13 14 15 16 14 15 16 17 18 19 20 • 9/4-9/5: Investor Meetings/Calls 17 18 19 20 21 22 23 21 22 23 24 25 26 27 • 9/8: Ex
Slide 10: SCRT 2025-2 Overview
SCRT 2025-2 Overview • The assets are seasoned, re-performing, first lien, adjustable, fixed and step-rate mortgage loans, including both modified and non-modified mortgage loans. The structure consists of two groups of senior certificates, each backed primarily by its respective loan group: Group M
Slide 11: Collateral Characteristics - SCRT 2025-2
Collateral Characteristics - SCRT 2025-2 By Group (as of 7/31/2025) By Clean Pay (as of 7/31/2025) SCRT 2025-2 SCRT 2025-1 1 to 5 Aggregate (as of Aggregate (as 6 to 11 12 to 23 24 to 35 Month 36+ Months 7/31/2025) of 1/31/2025) Group M Group T Months Months Months Clean Clean Pay Clean Pay Clean Pa
Slide 12: Indicative SCRT 2025-2 Structure
Indicative SCRT 2025-2 Structure Freddie Mac provides certain representations and warranties on the Mortgage Loans Securitization Trust Trust issues classes of Group M Certificates Group T Certificates Guaranteed Mortgage Certificates Loans transferred Mortgage Loans Class M Certificates Class XS-IO
Slide 13: Preliminary SCRT 2025-2 Capital Structure
Preliminary SCRT 2025-2 Capital Structure Transaction Structure Maximum Initial Class Approximate Stated Final Principal Loan Principal or Initial Credit WAL Guaranteed / Class Initial Class Distribution Window Group Initial Class Enhancement (years)(2) Non-Guaranteed Coupon(1) Date (months)(2) Noti
Slide 14: Guaranteed Senior Certificates
Guaranteed Senior Certificates Loan Maximum Initial Class Principal or Approximate Initial Initial Credit WAL Stated Final Principal Window Class Class Type Group Initial Class Notional Amount Class Coupon Enhancement (years)(1) Distribution Date (months)(1) M MT / MTU $611,984,000 3.000% / 3.250% 4
Slide 15: Guaranteed Senior Certificates – Group M
Guaranteed Senior Certificates – Group M Maximum Initial Class Principal Loan Approximate Initial Initial Credit WAL Stated Final Principal Window Class or Class Type Group Class Coupon Enhancement (years)(1) Distribution Date (months)(1) Initial Class Notional Amount M MT / MTU $611,984,000 3.000%
Slide 16: Guaranteed High Coupon Certificates – Group M
Guaranteed High Coupon Certificates – Group M Maximum Initial Class Principal Loan Approximate Initial Initial Credit WAL Stated Final Principal Window Class or Class Type Group Class Coupon Enhancement (years)(1) Distribution Date (months)(1) Initial Class Notional Amount M 40MT $611,984,000 4.000%
Slide 17: SCRT 2025-2 Guaranteed Certificates
SCRT 2025-2 Guaranteed Certificates Group M Certificates(1) Group M IO Certificates MT MTU MT-IO 3.000% 3.250% 4.000% Pass-Through Pass-Through IO MA-IO (2) 4.000% MA MB MAU MBU (2) IO 3.000% 3.000% 3.250% 3.250% Front-Pay Back-Pay Front-Pay Back-Pay MB-IO (2) 4.000% IO MA-3 MA-5 (2) (2) (2) (2) (2)
Slide 18: SCRT 2025-2 Guaranteed Certificates
SCRT 2025-2 Guaranteed Certificates Group T Certificates Group T IO Certificates TT TTU TTW TT-IO 3.500% 4.000% 4.250% 5.000% Pass-Through Pass-Through Pass-Through IO TA-IO (1) 5.000% IO TA (1) TB TBW TB-IO (1) (1) TAW 3.500% 3.500% 4.250% 4.250% 5.000% Front-Pay Back-Pay Front-Pay Back-Pay IO TAU
Slide 19: SCRT 2025-2 Non-Guaranteed Certificates
SCRT 2025-2 Non-Guaranteed Certificates BXS Certificates B (1) A-IO (1) B-IO (1) (2) (2) 1.891% 0.000% 0.129% PO BBIO (2) 2.764% BX XS-IO (1) 6.547% (2) 0.050%(2) Excess Servicing BXS (3) 8.085%(2) (1) Exchangeable Certificates (2) Approximate class coupon for first distribution date (3) Only Class
Slide 20: SCRT Deal Triggers and Initial Credit Enhancement
SCRT Deal Triggers and Initial Credit Enhancement Item Description 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 2025-1 2025-2 Initial Credit Initial Subordination Percentage 6.90% 6.50% 7.50% 8.25% 8.30% 5.85% 5.25% 5.00% 4.25% 4.75% Enhancement Class M Subordination percentage 3.90% 4.05
Slide 21: Historical SCRT Collateral
Historical SCRT Collateral SCRT Pool Comparison 2020-3 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 2025-1 2025-2 As of Date 9/30/2020 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 1/31/2024 7/31/2024 1/31/2025 7/31/2025 % Modified and/or PDP(1) 91% 51% 60% 86% 90% 94% 93% 9
Slide 22: SCRT 2025-2 Voluntary Prepayment Rate Modeled by Group
SCRT 2025-2 Voluntary Prepayment Rate (“VPR”) Modeled by Group Group M Group T 10 20 15 Rate % Rate % 5 10 5 - 0 Yield Book Model Bloomberg Model SCRT Pricing Speed Pricing Assumptions CPR CDR Severity Ramp from 5% to 8% Ramp from 0% to Group M CPR over 24 months 1% over 36 25% Group T 15% CPR month
Slide 23: SCRT Historical Performance by Group
SCRT Historical Performance by Group 1 Month VPR(¹) 10 9 8 7 6 Rate % 5 4 3 2 1 0 Group H > SCRT 2017-3 Group M > SCRT 2017-3 Group M55 Group T Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23 Jan-24 Feb-24 Mar-24 Apr-24 May-24 Jun-24 Jul-24 Aug-24 Sep-24 Oct-24 No
Slide 24: SCRT Historical Performance
SCRT Historical Performance Historical DQ60+(¹) 18 16 14 12 10 Rate % 8 6 4 2 0 SCRT 2018-1 - 2018-4 SCRT 2019-1 - 2019-4 SCRT 2020-1 SCRT 2020-2 SCRT 2020-3 SCRT 2021-1 SCRT 2021-2 SCRT 2021-3 SCRT 2022-1 SCRT 2022-2 SCRT 2023-1 SCRT 2024-1 SCRT 2024-2 SCRT 2025-1 (1) The DQ60+ rate is calculated a
Slide 25: Post-Securitization Servicing Requirements
Post-Securitization Servicing Requirements Modification and Loss Mitigation Eligibility • Borrower must be 60+ days delinquent or in imminent default as determined by the Servicer Limits • Servicer must evaluate eligible borrowers first for a Payment Deferral, and then a Modification, subject to the
Slide 26: Post-Securitization Servicing Requirements (continued)
Post-Securitization Servicing Requirements (continued) Third Party Servicer • The Servicer may not acquire lender placed insurance from any affiliate • If the Servicer obtains property valuation, preservation, or disposition services from an affiliate, the Servicer may not receive incentive-based co
Slide 27: SCRT Credit Features
SCRT Credit Features Credit Rating Actions as of August 2025 As Guarantor we may: Transaction Class Rating Agency Initial or Prior Rating New Rating Effective Date M-2 Moody's Ba1 (sf) Baa2 (sf) 6/16/2025 2016-1 M-2 DBRS BBB low (sf) A (sf) 5/23/2024 • Oversee and audit the servicing of the Mortgage
Slide 28: SCRT Program Support
SCRT Program Support Financing for Guaranteed Classes • Freddie Mac offers repo financing for SCRT Guaranteed Certificates (other than IOs) to approved counterparties • SCRT Guaranteed Certificates are (i) eligible for financing under the BNY Mellon MBS Tri-party Repo, and (ii) acceptable collateral
Slide 29: SCRT Transaction Issuance History
SCRT Transaction Issuance History SCRT 2025-1 Priced Classes (Pricing Date: 3/5/2025) Maximum Initial Printed % of Approximate Initial Credit WAL(1) Class Class Printed Maximum Initial Class Initial Class Spread or Proceeds(2) Yield(2) Price(2) Ratings Enhancement (years) Principal Amount Principal
Slide 30: SCRT Credit Tranches at Pricing
SCRT Credit Tranches at Pricing Mezz First Loss Collateral Per Deal Cumulative Per Deal Cumulative Cumulative Net Loss Rate $ MV Deal Format Spread(3) $ PX(3) Unique Tranche $ PX*(3) Yield % Unique Investors New (mm)(3) Investors New 100 PPS BTM(1) YB(2) Investors Investors 19-4 Syndicated 275 100.4
Slide 31: SCRT Investor Types
SCRT Investor Types(1) Guaranteed Certificates Non-Guaranteed Certificates (1) Determined by Market Value and as of issuance for SCRT transactions SCRT 2016-1 to SCRT 2025-1 31 Prepared by Investments and Capital SCRT 2025-2 © Freddie Mac Markets
Slide 32: SCRT Investor Participation
SCRT Investor Participation SCRT Program Participation - Guaranteed Certificates 100 88 89 89 91 93 93 96 79 83 84 72 73 76 80 65 66 59 60 51 43 31 36 40 20 32 24 30 28 28 28 24 30 26 24 9 14 20 18 20 19 12 3 5 8 0 18-1 18-2 18-3 18-4 19-1 19-2 19-3 19-4 20-1 20-2 20-3 21-1 21-2 21-3 22-1 22-2 23-1
Slide 33: Collateral Characteristics Comparison - Group M and Group M55
Collateral Characteristics Comparison - Group M and Group M55 Group M Group M55 Group M Group M55 Group M Group M55 Group M Group M55 Group M(6) Group M(6) Group M(6) Description 2022-1 2022-1 2022-2 2022-2 2023-1 2023-1 2024-1 2024-1 2024-2 2025-1 2025-2 As of Date 2/28/2022 2/28/2022 7/31/2022 7/3
Slide 34: Collateral Characteristics Comparison - Group T
Collateral Characteristics Comparison - Group T SPSS SCRT Group T 2021-1 2021-2 2021-3 2022-1 2022-2 2023-1 2024-1 2024-2 2025-1 2025-2 As of Date 2/28/2021 4/30/2021 8/31/2021 2/28/2022 7/31/2022 6/30/2023 1/31/2024 7/31/2024 1/31/2025 7/31/2025 % Freddie Mac PDP only(1) 3% 24% 15% 45% 45% 33% 53%
Slide 35: Data Stratifications (as of July 31, 2025)
Data Stratifications (as of July 31, 2025) Aggregate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%)
Slide 36: Data Stratifications (as of July 31, 2025)
Data Stratifications (as of July 31, 2025) Aggregate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balan
Slide 37: Data Stratifications (as of July 31, 2025)
Data Stratifications (as of July 31, 2025) Aggregate Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) B
Slide 38: Data Stratifications (as of July 31, 2025)
Data Stratifications (as of July 31, 2025) Aggregate Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($)
Slide 39: Data Stratifications – Group M
Data Stratifications (as of July 31, 2025) Group M Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 40: Data Stratifications – Group M
Data Stratifications (as of July 31, 2025) Group M Loan Age from Modification (months)(1) Current Credit Score Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance
Slide 41: Data Stratifications – Group M
Data Stratifications (as of July 31, 2025) Group M Remaining Term (months) Loan Purpose at Origination Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Loans Balance ($) Balance (%) Balance ($) Bal
Slide 42: Data Stratifications – Group M
Data Stratifications (as of July 31, 2025) Group M Number of Remaining Steps Clean Pay History (months) Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance ($) Ba
Slide 43: Data Stratifications – Group T
Data Stratifications (as of July 31, 2025) Group T Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) Balance (%) F
Slide 44: Data Stratifications – Group T
Data Stratifications (as of July 31, 2025) Group T Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) Loans Balance
Slide 45: Data Stratifications – Group T
Data Stratifications (as of July 31, 2025) Group T Geographic Concentration of the Mortgaged Properties (State or District) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortga
Slide 46: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2025) Group T- Fixed Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance ($) B
Slide 47: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2025) Group T- Fixed Rate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance (%) L
Slide 48: Data Stratifications – Group T Fixed Rate
Data Stratifications (as of July 31, 2025) Group T- Fixed Rate Geographic Concentration of the Mortgaged Properties (State or District) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Numb
Slide 49: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2025) Group T- Adjustable Rate Product Type(1) Current Mortgage Rate (%) Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Number of Mortgage Loans Balance ($) Balance (%) Balance
Slide 50: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2025) Group T- Adjustable Rate Loan Age from Modification (months)(1) Current Credit Score Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Aggregate Unpaid Principal Aggregate Unpaid Principal Loans Balance ($) Balance
Slide 51: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2025) Group T- Adjustable Rate Geographic Concentration of Mortgaged Properties (State or District) Judicial Foreclosure State Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Mortgage Loans Num
Slide 52: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2025) Group T- Adjustable Rate Index Months to Next Rate Adjustment Date Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Mortgage Loans Balance ($) Balance (%) Mortgage Loans Balance
Slide 53: Data Stratifications – Group T Adjustable Rate
Data Stratifications (as of July 31, 2025) Group T- Adjustable Rate Lifetime Minimum Rate Lifetime Maximum Rate Number of Aggregate Unpaid Principal Aggregate Unpaid Principal Number of Aggregate Unpaid Aggregate Unpaid Mortgage Loans Balance ($) Balance (%) Mortgage Loans Principal Balance ($) Prin
Freddie Mac — Debt Investor Presentation (September 2025) on 6ix